Pricing currency options in the mixed fractional Brownian motion

Lin Sun

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 16, 3441-3458

Abstract: This paper deals with the problem of pricing European currency options in the mixed fractional Brownian environment. Both the pricing formula and the mixed fractional partial differential equation for European call currency options are obtained. Some Greeks and the estimator of volatility are also provided. Empirical studies and simulation results confirm the theoretical findings and show that the mixed fractional Brownian pricing model is a reasonable one.

Keywords: Mixed fractional Brownian motion; Quasi-conditional expectation; Currency option; Option pricing (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:16:p:3441-3458

DOI: 10.1016/j.physa.2013.03.055

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